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README.md

SwapPricer

Project Status:Active CRAN_Status_Badge Travis build status

The goal of SwapPricer is to allow you to price a book of interest rate swaps (IRS). IRS is the most traded over the counter financial derivative in the world and now you can easily price it in R. More details on the financial characteristics of this contract can be found here

Please note that as at version 1.0.2 the toolbox is able to price using just a one-curve framework but is able to price multiple currencies (ie. CHF, EUR, GBP, JPY and USD) and any convention in terms of coupon frequency, day count convention.

We are working to introduce OIS Discounting in the next releases

Installation

For now, you can just install the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("DavideMagno/SwapPricer")

Example

The main function of the toolbox is SwapPortfolioPricing which uses just three inputs:

  1. A table with the characteristics of the swap, like the following one

Input Portfolio

ID

currency

notional

start.date

maturity.date

strike

type

standard

time.unit.pay

time.unit.receive

dcc.pay

dcc.receive

Swap 25y

EUR

1.0e+07

19/01/2007

19/01/2032

0.0005982

receiver

TRUE

NA

NA

NA

NA

Swap 30y

GBP

1.0e+06

24/04/2012

24/04/2042

0.0100000

payer

TRUE

NA

NA

NA

NA

Swap 10y

USD

2.0e+06

21/02/2012

21/02/2022

0.0025000

receiver

TRUE

NA

NA

NA

NA

Swap 2y16y

GBP

7.5e+06

14/04/2021

14/04/2037

0.0150000

receiver

TRUE

NA

NA

NA

NA

Swap non standard

EUR

1.5e+07

26/05/2014

26/05/2039

0.0200000

payer

FALSE

12

3

act/365

act/365

Swap 10y semi fixed

EUR

1.0e+07

26/05/2014

26/05/2024

0.0010000

payer

FALSE

6

6

act/365

act/365

Swap 30y quarter floating

GBP

1.0e+06

24/04/2012

24/04/2042

0.0200000

receiver

FALSE

3

12

act/360

act/365

Swap 10y irregular

USD

2.0e+06

21/02/2012

21/02/2022

0.0025000

receiver

FALSE

6

12

act/365

act/365

Swap 2y16y

EUR

7.5e+06

14/04/2021

14/04/2037

0.0150000

payer

FALSE

12

12

act/365

act/360

  1. The date at which the swaps are being priced

  2. As many interest rate lists as per the currencies in the swap portfolio. The list is made of a string with the code of the currency and a with a tibble with the discounting factor curve with two columns: Dates and Discount Factors (df). Here is an example of interest rate list:

SwapPricer::EUR.curves
#> $currency
#> [1] "EUR"
#> 
#> $discount
#> # A tibble: 26 x 2
#>    Date          df
#>    <date>     <dbl>
#>  1 2019-04-15  1   
#>  2 2019-04-23  1.00
#>  3 2019-05-16  1.00
#>  4 2019-07-16  1.00
#>  5 2019-10-16  1.00
#>  6 2020-04-16  1.00
#>  7 2020-10-16  1.00
#>  8 2021-04-16  1.00
#>  9 2022-04-19  1.00
#> 10 2023-04-17  1.00
#> # … with 16 more rows

Examples of items 1 and 3 have been provided with the package.

library(SwapPricer)
today <- lubridate::ymd(20190415)
SwapPricer::SwapPortfolioPricing(SwapPricer::swap.basket, today, 
                                 SwapPricer::EUR.curves, SwapPricer::GBP.curves,
                                 SwapPricer::USD.curves) 

This function returns a table that can be easily used for reporting like below

#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) & 
#>     floating.history$time.unit == swap$time.unit[[leg.type]], 
#>     "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date, 
#>     ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#>     closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>     fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates < 
#>         0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#>     floating.history <- floating.history[grepl(swap$currency, 
#>         floating.history$currency) & floating.history$time.unit == 
#>         swap$time.unit[[leg.type]], "rate.data"]
#>     floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#>     fixing.row <- floating.history[floating.history$date %in% 
#>         swap.dates$fixing.date, ]
#>     if (nrow(fixing.row) == 0) {
#>         closest.dates <- (floating.history$date - swap.dates$fixing.date)
#>         fixing.row <- floating.history[which(closest.dates == 
#>             max(closest.dates[closest.dates < 0])), ]
#>     }
#>     rate <- fixing.row[["value"]]/100
#> } else {
#>     rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional * 
#>     rate * switch(leg.type, pay = -1, receive = 1))

Pricing results

swap.id

currency

clean.mv

dirty.mv

accrual.pay

accrual.receive

par

pv01

Swap 25y

EUR

-881,831.25

-874,928.79

5,506.67

1,395.80

0.77%

-12,390.87

Swap 30y

GBP

105,100.25

104,665.66

-4,739.73

4,305.14

1.54%

1,948.27

Swap 10y

USD

-119,333.64

-126,360.65

-7,777.01

750.00

2.43%

-547.60

Swap 2y16y

GBP

-94,850.43

-94,850.43

-0.00

0.00

1.59%

-10,393.05

Swap non standard

EUR

-2,590,941.00

-2,861,693.88

-264,657.53

-6,095.34

1.07%

27,912.93

Swap 10y semi fixed

EUR

-16,313.13

-29,967.92

-3,835.62

-9,819.18

0.07%

5,129.68

Swap 30y quarter floating

GBP

88,228.04

105,652.23

-2,082.67

19,506.85

1.55%

-1,940.77

Swap 10y irregular

USD

-119,608.54

-126,827.43

-7,944.92

726.03

2.44%

-545.92

Swap 2y16y

EUR

-361,098.10

-361,098.10

-0.00

0.00

1.18%

11,170.90

Learning More

The vignettes are a great place to learn more about SwapPricer.

If you are installing from github and want the vignettes, you’ll need to run the following commands first:

devtools::install_github("DavideMagno/SwapPricer", build_vignettes = TRUE)
library(SwapPricer)

You can then access them from R with the vignette() command

You can’t perform that action at this time.